Stock Market Analysis Using Time Series Relational Models for Stock Price Prediction

The ability to predict stock prices is essential for informing investment decisions in the stock market. However, the complexity of various factors influencing stock prices has been widely studied. Traditional methods, which rely on time-series information for a single stock, are incomplete as they lack a holistic perspective. The linkage effect in the stock market, where stock prices are influenced by those of associated stocks, necessitates the use of more comprehensive data. Currently, stock relationship information is mainly obtained through industry classification data from third-party platforms, but these data are often approximate and subject to time lag. To address this, this paper proposes a time series relational model (TSRM) that integrates time and relationship information. The TSRM utilizes transaction data of stocks to automatically obtain stock classification through a K-means model and derives stock relationships. The time series information, extracted using long short-term memory (LSTM), and relationship information, extracted with a graph convolutional network (GCN), are integrated to predict stock prices. The TSRM was tested in the Chinese Shanghai and Shenzhen stock markets, with results showing an improvement in cumulative returns by 44% and 41%, respectively, compared to the baseline, and a reduction in maximum drawdown by 4.9% and 6.6%, respectively.

Automated summary

The ability to predict stock prices is essential for investment decisions, but the complexity of factors influencing stock prices has been extensively studied. Traditional methods that focus on time-series information for a single stock lack a holistic perspective. A time series relational model (TSRM) is proposed in this paper to integrate time and relationship information. The TSRM utilizes transaction data, K-means model, LSTM, and GCN to predict stock prices, yielding significant improvements in cumulative returns and maximum drawdown in the Chinese stock markets.